Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0268
Annualized Std Dev 0.2089
Annualized Sharpe (Rf=0%) -0.1282

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2184
Quartile 1 -0.0043
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0050
Maximum 0.1367
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0132
Skewness -1.3457
Kurtosis 36.7108

Downside Risk

Close
Semi Deviation 0.0099
Gain Deviation 0.0098
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.7187
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0326
Modified VaR (95%) -0.0165
Modified ES (95%) -0.0165
From Trough To Depth Length To Trough Recovery
2004-01-09 2008-11-20 NA -0.7187 4329 1227 NA
1999-03-15 2002-10-10 2003-12-24 -0.3300 1204 900 304
1999-01-07 1999-02-22 1999-03-11 -0.0483 44 31 13
2003-12-30 2003-12-30 2003-12-31 -0.0053 2 1 1
2004-01-02 2004-01-02 2004-01-06 -0.0030 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.5 -0.5 0.5 -0.5 -1 0.5 1.5 0.5 0 0.6 -1.2 3.1 3
2000 -0.6 0.6 0 -0.5 0.5 -0.5 -0.8 -0.8 -0.5 0.6 1.8 0.6 0.3
2001 0.2 -1.1 1.7 0.6 1.1 0.1 0.1 0 -0.6 -0.3 -0.5 1.5 2.8
2002 0.9 1.4 -0.4 -0.6 0.5 0.1 -0.1 2.5 0.6 0.3 1 1.4 7.8
2003 1.1 1.2 0.5 0.9 0.9 0 -0.1 0.2 0.2 0.6 0.4 0.8 6.9
2004 -0.5 0.3 5.1 -1.3 1.8 0.5 0.2 -0.1 0.1 0.4 0.1 0.1 6.9
2005 0.2 0 1.5 0.1 0 0.2 -0.2 0.9 0.1 -0.1 0.2 -0.5 2.4
2006 0.5 0.2 0.1 -0.3 0.2 0.6 -0.1 0.4 -0.2 -0.1 0.5 0.4 2.2
2007 0.3 -1.1 0.1 0.9 0.3 0.1 -1.7 0.3 -0.2 -1.3 1.5 2 1.1
2008 0.6 -0.6 1.5 -0.5 0.1 -0.9 1 0.3 2.1 5.3 -4.8 2.4 6.4
2009 0 -5 1.1 4.3 2.4 1.1 0 -0.2 -0.2 -3.5 0.8 -0.1 0.3
2010 2.8 1 0.8 -0.9 -0.3 0.3 0.7 1 0.4 -0.2 0.8 0.6 7.2
2011 0.5 0.4 0.4 0.5 -0.3 1 4.6 0.9 0.5 -1.6 -0.9 -0.7 5.3
2012 0.5 0.5 -0.4 0.6 -1.2 0.6 0.1 -0.2 0.7 0 -0.2 0.9 1.9
2013 0.6 -0.1 0.5 0.1 -2 0.4 -1.6 0.2 -0.6 -1 0.4 -1.1 -4.1
2014 0 0.1 0.2 0.2 -0.1 -0.1 -0.1 0.2 -0.4 0.1 -1.4 1.7 0.4
2015 -0.4 1 0.9 0.6 0 -0.3 0.3 0.9 0 1.2 -0.5 -0.3 3.4
2016 0 1 0.2 1.8 0.6 0.1 -1.3 -0.6 0.3 -0.4 0.1 0.7 2.6
2017 -0.5 0.3 -0.3 0 0.3 0.7 0 0.4 0.4 0 0.4 0 1.7
2018 0.7 0 0.2 0.5 0.9 -0.3 0 0.2 0.9 1.2 -0.3 0.3 4.3
2019 0.2 -0.2 1.7 -0.1 -0.8 0 0.7 -0.6 -0.3 0.1 0.3 0.4 1.5
2020 -0.6 -2.4 -4.8 -1.6 1.9 0.8 -0.2 0.6 0.3 -0.5 2 -0.4 -4.9
2021 1 1 0.4 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.6 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  12.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  12.6 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  12.6 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart